Market Risk

PRA Rules

• Solvency Capital Requirement – General Provisions
• Solvency Capital Requirement – Standard Formula (Chapters 1, 1A, 1B, 1C, 2, 3, 3D, 3G, 4, 7)

Supervisory Statements

• Solvency II: Data collection of market risk sensitivities (SS7/17)
• The PRA’s approach to the publication of Solvency II technical information (Statement of Policy)

Other relevant material

Guidelines originally issued by European Supervisory Authorities should be read in conjunction with "Interpretation of EU Guidelines and Recommendations: Bank of England and PRA approach after the UK’s withdrawal from the EU" (Statement of Policy)

• Guidelines on the treatment of market and counterparty risk exposures in the standard formula (EIOPA-BoS-14/174)
• Guidelines on treatment of related undertakings, including participations (EIOPA-BoS-14/170)
• Guidelines on look-through approach (EIOPA-BoS-14/171)
• Guidelines on basis risk (EIOPA-BoS-14/172)